LMNR Options History — August 2018

In August 2018, LMNR traded between $27.76 and $30.69. ATM implied volatility averaged 31.1%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 5.8% (HV 20d: 25.3%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.16.

Notable Days

  • 2018-08-20: Highest Volume — 472 contracts
  • 2018-08-10: Largest IV spike — 19.9% change
  • 2018-08-31: Highest IV Rank — 12.3%
  • 2018-08-31: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.24$27.76$30.69$27.76$30.69
Max Pain$28.59$22.50$30.00$22.50$30.00
ATM IV31.1%21.4%38.7%30.1%38.7%
Expected Move9.3%6.4%11.1%8.6%11.1%
HV 20d25.3%15.1%30.2%30.1%15.5%
HV 60d28.6%27.8%29.1%29.0%27.8%
IV Rank6.6%0.0%12.3%4.7%12.3%
IV Percentile25.6%0.0%62.3%8.7%62.3%
Term Structure0.1%-3.8%9.5%9.5%-3.8%
VWIV47.2%30.6%113.3%102.6%53.4%
Skew 25d4.7%-9.8%12.6%12.6%6.6%
Skew 10d8.1%-2.9%14.3%12.8%14.3%
Call IV 25d33.5%28.0%40.4%28.0%38.9%
Put IV 25d38.2%26.1%45.5%40.6%45.5%
Bid-Ask Spread %78.8451.66114.83110.8883.89
Gamma HHI0.820.700.940.700.83
Net GEX40.5K7.9K66.9K7.9K64.0K
Net DEX-741.4K-1.4M-256.0K-256.0K-1.4M
Net VEX-3.5K-4.6K-1.4K-1.4K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.452.272.271.61
Total Volume267.478147472147167
Total OI1,049.5655011,3335011,328

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-08-01$27.76$22.5030.1%8.6%30.1%4.7%102.6%12.6%9.5%7.9K-256.0K-1.4K2.27110.8845102221280
2018-08-02$28.05$22.5026.1%7.5%30.2%1.8%113.3%2.7%2.5%10.1K-331.9K-1.6K0.63108.41166104251280
2018-08-03$28.39$22.5022.3%6.4%29.6%0.0%110.9%-9.8%2.4%20.6K-500.2K-2.0K1.76114.8359104368282
2018-08-06$28.64$25.0022.6%8.3%29.4%0.2%34.6%3.9%2.5%22.9K-536.0K-2.1K2.0473.4051104378282
2018-08-07$29.02$25.0023.5%9.7%27.3%0.8%34.3%2.4%-2.4%21.5K-542.7K-2.1K1.0575.31147154368282
2018-08-08$28.94$30.0021.4%8.7%27.5%0.0%31.7%3.2%0.9%27.4K-566.7K-2.6K2.2078.7070154459332
2018-08-09$29.38$30.0024.1%9.3%27.3%1.9%33.2%2.5%-1.6%28.7K-649.0K-2.7K0.7365.47210154469332
2018-08-10$29.11$30.0028.9%8.9%27.8%5.3%32.3%4.8%0.9%32.1K-652.6K-3.7K0.7066.56226158609382
2018-08-13$29.06$30.0029.1%9.1%27.2%5.5%32.3%3.9%0.3%33.6K-605.2K-4.0K0.7063.84226158673438
2018-08-14$29.07$30.0033.7%8.5%27.2%8.7%30.6%5.6%2.8%35.8K-593.2K-4.0K0.7182.07226160673438
2018-08-15$28.70$30.0031.3%9.0%28.0%7.0%32.6%4.7%1.6%29.9K-483.1K-3.7K0.8776.93181158654440
2018-08-16$28.71$30.0030.3%8.7%27.0%6.3%31.3%5.7%2.2%31.3K-459.8K-3.7K0.8875.72181159654442
2018-08-17$28.63$30.0032.6%9.3%27.1%7.9%32.9%4.3%-0.3%30.1K-473.1K-3.7K0.5968.24249146654443
2018-08-20$29.08$30.0032.0%9.2%25.6%7.5%32.4%5.6%1.4%38.6K-580.4K-3.8K0.4577.85326146674453
2018-08-21$29.78$30.0030.8%8.8%25.9%6.6%32.9%7.7%2.2%66.9K-1.1M-4.6K0.7176.96160114851453
2018-08-22$30.00$30.0035.3%10.1%25.7%9.8%37.9%6.1%-2.3%59.4K-1.1M-4.6K0.6651.66160106854468
2018-08-23$29.76$30.0036.0%10.3%26.2%10.3%39.1%5.7%-2.1%58.4K-969.9K-4.6K0.7169.14160113854466
2018-08-24$29.99$30.0035.4%10.2%25.9%9.9%51.4%6.8%-1.6%60.8K-1.1M-4.5K1.5267.966294854473
2018-08-27$29.85$30.0037.9%10.9%23.9%11.7%46.0%6.1%-3.4%59.7K-1.0M-4.4K1.4982.9869103857474
2018-08-28$29.81$30.0037.5%10.7%16.2%11.4%45.4%4.3%-3.1%62.6K-1.0M-4.3K1.4978.1569103867465
2018-08-29$29.94$30.0037.0%10.6%15.2%11.1%53.6%8.3%-2.7%64.7K-1.1M-4.3K1.6378.3663103867465
2018-08-30$30.20$30.0038.1%10.9%15.1%11.8%41.6%4.7%-3.6%65.0K-1.2M-4.2K1.3086.0779103868465
2018-08-31$30.69$30.0038.7%11.1%15.5%12.3%53.4%6.6%-3.8%64.0K-1.4M-4.1K1.6183.8964103863465